Modeling and forecasting a firm’s financial statements with a VAR – VECM model
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | BBR. Brazilian Business Review (English edition. Online) |
Texto Completo: | http://www.bbronline.com.br/index.php/bbr/article/view/294 |
Resumo: | This paper reports the development and estimation of a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where the chosen company is Petrobras S/A. The methodology comprises correlation analysis, unit root tests, cointegration analysis, VAR modeling, Granger causality tests, in addition to impulse response and variance decomposition methods. Besides the endogenous financial statement variables, an exogenous variable vector was utilized including the Brazilian GDP, domestic and foreign interest rates, the international oil price, the exchange rate, and country risk. The model’s final version is a Vector Error Correction Model (VECM), which takes into account the cointegrating relationships among the endogenous variables. After estimation and validation, the model is used to forecast the firm’s financial statements. Estimates for the exogenous variables and dividend forecasts were also used to estimate the firm’s market value. The results are apparently robust and might contribute to the field of financial planning and forecasting. |
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Modeling and forecasting a firm’s financial statements with a VAR – VECM modelModelando e estimando as demonstrações financeiras de uma empresa com o modelo VAR - VECMEconometric modelingfinancial statementsVAR Modelfinancial forecastingPetrobrasModelagem econométricademonstrações financeirasModelo VARprevisão financeiraPetrobrasThis paper reports the development and estimation of a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where the chosen company is Petrobras S/A. The methodology comprises correlation analysis, unit root tests, cointegration analysis, VAR modeling, Granger causality tests, in addition to impulse response and variance decomposition methods. Besides the endogenous financial statement variables, an exogenous variable vector was utilized including the Brazilian GDP, domestic and foreign interest rates, the international oil price, the exchange rate, and country risk. The model’s final version is a Vector Error Correction Model (VECM), which takes into account the cointegrating relationships among the endogenous variables. After estimation and validation, the model is used to forecast the firm’s financial statements. Estimates for the exogenous variables and dividend forecasts were also used to estimate the firm’s market value. The results are apparently robust and might contribute to the field of financial planning and forecasting.Este artigo relata o desenvolvimento e estimação de um modelo econométrico de Vetores Autoregressivos (VAR) representando as demonstrações financeiras de uma empresa. Embora o modelo possa ser generalizado para representar as demonstrações financeiras de qualquer empresa, este trabalho foi realizado como um estudo de caso, onde a empresa escolhida é a Petrobras S/A. A metodologia compreende análise de correlação, testes de raiz unitária, análise de cointegração, modelagem VAR, testes de causalidade Granger, além de resposta ao impulso e métodos de decomposição de variança. Além de variáveis ??endógenas ao balanço financeiro, um vetor de variáveis ??exógenas foi utilizado, incluindo o PIB brasileiro, taxas de juros interna e externa, o preço internacional do petróleo, a taxa de câmbio e o risco-país. A versão final do modelo é umModelo de Correção de Erro Vetorial (VECM) que leva em conta as relações de co-integração entre as variáveis endógenas. Após a estimação e validação, o modelo é usado para estimar as demonstrações financeiras da empresa. As estimativas das variáveis exógenas e de dividendos também foram usadas para estimar o valor de mercado da empresa. Os resultados são aparentemente robustos e podem contribuir no campo de planejamento e estimativas financeiros.FUCAPE Business Shool2011-07-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/29410.15728/bbr.2011.8.3.2Brazilian Business Review; Vol. 8 No. 3 (2011): July to September 2011; 20-39Brazilian Business Review; v. 8 n. 3 (2011): Julho a Setembro de 2011; 20-391808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/294/445http://www.bbronline.com.br/index.php/bbr/article/view/294/446Medeiros, Otavio Ribeiro deDoornik, Bernardus Ferdinandus Nazar VanOliveira, Gustavo Rezende deinfo:eu-repo/semantics/openAccess2018-11-06T19:55:51Zoai:ojs.pkp.sfu.ca:article/294Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:55:51BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model Modelando e estimando as demonstrações financeiras de uma empresa com o modelo VAR - VECM |
title |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model |
spellingShingle |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model Medeiros, Otavio Ribeiro de Econometric modeling financial statements VAR Model financial forecasting Petrobras Modelagem econométrica demonstrações financeiras Modelo VAR previsão financeira Petrobras |
title_short |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model |
title_full |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model |
title_fullStr |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model |
title_full_unstemmed |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model |
title_sort |
Modeling and forecasting a firm’s financial statements with a VAR – VECM model |
author |
Medeiros, Otavio Ribeiro de |
author_facet |
Medeiros, Otavio Ribeiro de Doornik, Bernardus Ferdinandus Nazar Van Oliveira, Gustavo Rezende de |
author_role |
author |
author2 |
Doornik, Bernardus Ferdinandus Nazar Van Oliveira, Gustavo Rezende de |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Medeiros, Otavio Ribeiro de Doornik, Bernardus Ferdinandus Nazar Van Oliveira, Gustavo Rezende de |
dc.subject.por.fl_str_mv |
Econometric modeling financial statements VAR Model financial forecasting Petrobras Modelagem econométrica demonstrações financeiras Modelo VAR previsão financeira Petrobras |
topic |
Econometric modeling financial statements VAR Model financial forecasting Petrobras Modelagem econométrica demonstrações financeiras Modelo VAR previsão financeira Petrobras |
description |
This paper reports the development and estimation of a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where the chosen company is Petrobras S/A. The methodology comprises correlation analysis, unit root tests, cointegration analysis, VAR modeling, Granger causality tests, in addition to impulse response and variance decomposition methods. Besides the endogenous financial statement variables, an exogenous variable vector was utilized including the Brazilian GDP, domestic and foreign interest rates, the international oil price, the exchange rate, and country risk. The model’s final version is a Vector Error Correction Model (VECM), which takes into account the cointegrating relationships among the endogenous variables. After estimation and validation, the model is used to forecast the firm’s financial statements. Estimates for the exogenous variables and dividend forecasts were also used to estimate the firm’s market value. The results are apparently robust and might contribute to the field of financial planning and forecasting. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-07-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artigo revisado pelos pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/294 10.15728/bbr.2011.8.3.2 |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/294 |
identifier_str_mv |
10.15728/bbr.2011.8.3.2 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/294/445 http://www.bbronline.com.br/index.php/bbr/article/view/294/446 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FUCAPE Business Shool |
publisher.none.fl_str_mv |
FUCAPE Business Shool |
dc.source.none.fl_str_mv |
Brazilian Business Review; Vol. 8 No. 3 (2011): July to September 2011; 20-39 Brazilian Business Review; v. 8 n. 3 (2011): Julho a Setembro de 2011; 20-39 1808-2386 1807-734X reponame:BBR. Brazilian Business Review (English edition. Online) instname:Fucape Business School (FBS) instacron:FBS |
instname_str |
Fucape Business School (FBS) |
instacron_str |
FBS |
institution |
FBS |
reponame_str |
BBR. Brazilian Business Review (English edition. Online) |
collection |
BBR. Brazilian Business Review (English edition. Online) |
repository.name.fl_str_mv |
BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS) |
repository.mail.fl_str_mv |
|| bbronline@bbronline.com.br |
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